Cancer-related fatigue (CRF) is more severe and debilitating in patients with advanced cancer (ACP) than in those with early cancer or in survivors. Prior drug studies for CRF in palliative care have shown mixed results. Recent studies show that 8 mg/day dexamethasone (DEX) for one week is safe and significantly improves CRF. However, this treatment does not completely relieve CRF and therefore further studies are needed to treat this distressing symptom. Physical activity (PA) has the best evidence for treatment of CRF but its effect size is modest (0.23) in improving CRF. Hence, new treatment strategies are greatly needed. Here we propose a combination of PA with a short course of DEX with the idea that the combination would provide a more robust improvement of CRF due to anti-inflammatory effects, improvement in symptom distress, and improvement in overall well-being. Furthermore, DEX would facilitate the initiation of and adherence to the PA intervention, and thereby engage and sustain PA over a period of at least 4 weeks (the duration of the study) in a potentially synergistic manner. Objective/Hypothesis: The objective of the proposed study is to build on our prior studies to evaluate the feasibility and preliminary efficacy of the combination of physical activity and a short course of dexamethasone (hereafter abbreviated PA+ DEX) for cancer-related fatigue in advanced cancer, and will inform larger, adequately-powered effectiveness studies of PA+DEX toward a long-term goal of finding highly effective interventions for CRF. The study will test the hypothesis that, in patients with advanced cancer, the combination of dexamethasone with exercise will prove both feasible and beneficial. Specific Aims: Primary: To test the hypotheses that patients with CRF will be satisfied with the PA+ DEX intervention, have adequate rates of adherence, and that PA+ DEX will be feasible for patients with CRF. Exploratory: To test the hypothesis that PA+ DEX will be more efficacious than PA+ placebo (PA for 4 weeks plus placebo for 1 week) on CRF as measured by the Functional Assessment of Chronic Illness Therapy- Fatigue Scale (FACIT-F). To explore the effects of PA+ DEX on fatigue-related symptoms and function. Study design: Patients with a diagnosis of advanced cancer and fatigue score of ?4/10 (Edmonton Symptom Assessment Scale) will be admitted to this study. We will use a randomized controlled design to randomly assign 70 eligible patients to receive either 8 mg/day DEX or Placebo orally for 7 days with a validated and supervised physical activity intervention for 4 weeks. Patients will complete the outlined assessments at baseline, Day 8, Day 15, Day 29, and Day 60 of the study. Feasibility, adherence, and satisfaction with the combined interventions will be assessed, and the preliminary efficacy of the combined interventions will be evaluated using the change in FACIT-F subscale scores.